Short-term Forecasting for Empirical Economists
Author | : Máximo Camacho |
Publisher | : |
Total Pages | : 59 |
Release | : 2013 |
ISBN-10 | : 1601987439 |
ISBN-13 | : 9781601987433 |
Rating | : 4/5 (433 Downloads) |
Download or read book Short-term Forecasting for Empirical Economists written by Máximo Camacho and published by . This book was released on 2013 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practitioners do not always use research findings, sometimes because the research is not always conducted in a manner relevant to real-world practice. This survey seeks to close the gap between research and practice on short-term forecasting in real time. Towards this end, we review the most relevant recent contributions to the literature, examine their pros and cons, and we take the liberty of proposing some lines of future research. We include bridge equations, MIDAS, VARs, factor models and Markov-switching factor models, all allowing for mixed-frequency and ragged ends. Using the four constituent monthly series of the Stock-Watson coincident index, industrial production, employment, income and sales, we evaluate their empirical performance to forecast quarterly US GDP growth rates in real time. Finally, we review the main results regarding the number of predictors in factor based forecasts and how the selection of the more informative or representative variables can be made.